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Auction Market Theory and Market Profile

  • #4,641
  • Mar 15, 2012 6:53am Mar 15, 2012 6:53am
i decide if i have nothing to say then no lbst is good enough. credit goes to ivonivon.

anyway i often see evak post a trade like this..
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  • #4,642
  • Mar 15, 2012 8:30am Mar 15, 2012 8:30am
Quoting unknown4x
If I backtest then i run my stuff through a large mongodb database that contains various pricefeeds with java interfaces crunching the data / generating charts + custom crosses if needed.
What other methods did you use for testing strategies?
Maybe you know some another way which is a bit easier? your backtesting method seems a bit complex to me...
  • #4,643
  • Mar 15, 2012 8:48am Mar 15, 2012 8:48am
  •  s7c
  • | Joined Mar 2011 | Status: try and fail but don't fail to try | 289 Posts
Quoting bandung
i decide if i have nothing to say then no lbst is good enough. credit goes to ivonivon.

anyway i often see evak post a trade like this..
  • #4,644
  • Mar 15, 2012 10:04am Mar 15, 2012 10:04am
Quoting bandung
i decide if i have nothing to say then no lbst is good enough. credit goes to ivonivon.

anyway i often see evak post a trade like this..
I find it very interesting, that even when you use different profiles settings, you can still perceive the market the same. The 24h open is one of best references I use for trading. The 24h open and the return into the the developing va of the wk profile where the basis for my entry......
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Markets are not efficient, rather they are effective - Jones
  • #4,645
  • Mar 15, 2012 10:26am Mar 15, 2012 10:26am
  •  s7c
  • | Joined Mar 2011 | Status: try and fail but don't fail to try | 289 Posts
another fat day, low conviction. market starts to bracket and find acceptance when previous was rejected. i'm refring to the excess from monthly profile.
->i sold above todays value and after it tested the VAH from yesterday. i looked to sell after we repair the yesterday poor high and maybe i got rushed into this trade. anyway we have a small bracket for now and i'm acting in concordance...i don't like the proability of testing VAH on weekly so i will have my stop around 1.31 area and watch the auctions there.

mzvega i thought for a bit to get long in there, but somehow i misplaced my daily volume on the platform and quit the idea...
by the way i'm the only one who keeps preaching about the damn excess, why you don't find it important?
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  • #4,646
  • Edited 12:03pm Mar 15, 2012 11:40am | Edited 12:03pm
Quoting s7c
.........excess, why you don't find it important?
I get very lost & confused with the "spike base" "intiatives" "poor highs & lows" type analysis, I dont really apply it, as Im always looking to trade with the otf, I personally dont see these type of senarios on the higher tf profiles , I see excess as highs & lows/ S&R I dont see excess as things in "need of repair" I take a slightly different approach. I see them (single prints) as otf participants . Im more concerned with "why", "what it consists of" and "what" it is telling me. My approach is slightly different.......

edit: my interpretation of your "poor high" was a high that contained no otf seller influence, imo, waiting for the "poor high" to repair itself, is imo trading the graphic, not what the graphic is telling you......I guess its a matter of interpretaion
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Markets are not efficient, rather they are effective - Jones
  • #4,647
  • Edited 3:03pm Mar 15, 2012 2:38pm | Edited 3:03pm
  •  s7c
  • | Joined Mar 2011 | Status: try and fail but don't fail to try | 289 Posts
this time appears to me i was clear:
Quote
i'm refring to the excess from monthly profile.
&
Quote
last moth tail after the test of VAH from 2 month ago
for me this appears as a strong sign of OTF buyers which entered in the market after the buyers find the price attractive below previous VAH. so a very important long term reference for me...

regarding the poor high, poor high it's like an unfinished business of the excessive long inventory at the time. so if i look to get short in the area it seems to me a pretty good reference point for the short time frame where one can reevaluate the situation.
i wasn't waiting for the graphic to repair the poor high, i was waiting for the price to see how it acts in the area. i think the probability was high of a another overlapping fat day after the pit session opened in balance.
it was a losing trade on my part but i think i had good reasons to take it, would have bin much better as i said if i have waited a little bit more...
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  • #4,648
  • Mar 15, 2012 5:03pm Mar 15, 2012 5:03pm
price went to monthly POC (1.311) then drop (uptrust) ...and going to 1st SD...
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The Market pays you to be disciplined
  • #4,649
  • Edited 7:17pm Mar 15, 2012 6:11pm | Edited 7:17pm
Quoting s7c
this time appears to me i was clear:....
If you don’t mind could you go back and look at how my post started
Quoting s7c
.........excess, why you don't find it important?
It appears to me that all I was doing was answering your question….not trying to critique your analysis or reference points..........
My bad, I apologize, I should have paid closer attention to you saying monthly excess, I was only analyzing the chart provided. However, this bracket of “acceptance” of the monthly profile excess, your referring to imo is and consists of the daily profiles on the chart you provided. But again, I didn’t think I was answering a question about the monthly excess and didnt think it relevent….. was that the question?
I only posted my charts to show you how I interpret excess, because you asked ……
I also apologize that I mistook
Quoting s7c
..I looked to sell after we repair the yesterday poor high
to mean...."waiting” to look for a sell opportunity “after we repair yesterday’s poor High”
Im not quite sure how I got that twisted..........Again my bad!
All I was doing was showing you how I interpret excess, and how I would interpret the excess on your chart. Everyone has their own reference points, I was only analyzing the excess from my perspective, I didn’t need or use references to form my bias………. The excess told me all I needed to know at that point & time the odds for a short, weren’t in my favor……………

Edit: goes to my point about trading the graphic, the graphic reached a mechanical reference point, many might have look to enter a trade because it was a good reference point to them, but why? because its a s/r point on the chart?. If one was trading what the profile was telling them, imo they would have saw that the profile was saying buyers outweigh sellers 2-1...
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  • #4,650
  • Mar 15, 2012 7:22pm Mar 15, 2012 7:22pm
.
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  • #4,651
  • Edited 2:39am Mar 16, 2012 2:16am | Edited 2:39am
  •  s7c
  • | Joined Mar 2011 | Status: try and fail but don't fail to try | 289 Posts
Quoting mzvega
If you don’t mind could you go back and look at how my post started
It appears to me that all I was doing was answering your question….not trying to critique your analysis or reference points..........
[font=Verdana][font=Verdana]My bad, I apologize, I should have paid closer attention to you saying monthly excess, I was only analyzing the chart provided. However, this bracket of “acceptance” of the monthly profile excess, your referring to imo is and consists of the daily...
i want you to criticize my analysis but i want that to be constructive, that's all. that's the only way i or we can constantly improve...
yes that was the question, thanks for your answer
i'm trying to get the next view: long term-from monthly profile and daily chart; intermediate term from-weekly profile; short term from- daily profile and daily term from-session profile. i know it matters the amount of price movement too and not necessary the amount of time but this classification it helps me gauge the amplitude of OTF movements...
so based on this, the excess visible on daily chart at a monthly profile reference is very important to me and the first tail you pointed on my chart i see that made by daily term so implies not a stronger move then session VAH or sessions's high. with the second one, you pointed it's a different story it's possible short term behind it and i agree with you i should have waited for more proof till to get short. anyway the pit or nybot opened both in range so the probability of a strong move was lower. so you get price at a short time reference meaning last day VAH or last days high with a daily/short term presence so i still think this the idea behind it is valid, the problem is in the way i applied it. the irony is i would have been long at that time if my view of volume was more clear...
so from my view we are in the long/intermediate term references but with daily/short term active presence. so a balance day i see it more probably today
  • #4,652
  • Edited 1:28pm Mar 16, 2012 5:06am | Edited 1:28pm
Quoting s7c
i want you to criticize my analysis but i want that to be constructive, that's all. that's the only way i or we can constantly improve...
This is just an obsevation......
First let me say that I only use the session profiles, to monitor price, just a way to see how the price is developing, and for that I use a nybot open. I don’t trade the opens and they have no basis for my trade entries, as my entries are reasoned & based of a larger tf with that said…………..
Lets talk “The Open as a Gauge of Market Conviction” text book so we're both on the same page on how we do the analysis
When analyzing the daily profile, the context is where did we open in relation to yesterdays profile, I take that to mean Daily profile, daily open, I’m my case, daily 24h profile, my daily open begins & ends with the asian session, so I do my daily analysis every day at the asia open and ask, where did price open in relation to yesterdays profile, to judge daily sentiment That’s how I understand it. In other words imo it suggests that your open determines where your profile begins and ends………… with that said……..your nybot statement bothered me somewhat
Quoting s7c
anyway the pit or nybot opened both in range so the probability of a strong move was lower

Relative to "what"? if your open determines where your profile begins & ends, that daily analysis should hold up if your profiles begin & end with the nybot/pit open, imo, however I think I see daily 24h profiles, if I’m correct, by waiting for 2 sessions (asia & euro) to go by to judge the daily sentiment, is imo late, as half the 24h session is over, the info is skewed, and it discounts asia & euro PA. imo if you’re judging your daily sentiment at the nybot/pit open, the end of the profile should right before the open……. Now unless your trading the session profiles then it would relative to the previous session profile i.e asia in relation to us, eu in relation to asia, us in relation to eu …..do you kind of see where I going with this?............ now if you did the daily sentiment relative to the daily 24h profile at the asian session, it open below value, out of balance, you might have viewed daily sentiment differently.........
Markets are not efficient, rather they are effective - Jones
  • #4,653
  • Mar 16, 2012 9:57am Mar 16, 2012 9:57am
Not much time to trade nowsadays. My only entry for this week off the daily VAL of yesterday balance profile set to UK open. There should be more room to go after this strong intial move. A correction is expected notewithstanding at least to repair the structure & a anomaly, 3250 would be my aim.

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  • #4,654
  • Mar 16, 2012 11:41am Mar 16, 2012 11:41am
  •  s7c
  • | Joined Mar 2011 | Status: try and fail but don't fail to try | 289 Posts
Quote
my daily open begins & ends with the asian session, so I do my daily analysis every day at the asia open and ask, where did price open in relation to yesterdays profile, to judge daily sentiment That’s how I understand it. In other words imo it suggests that your open determines where your profile begins and ends
k, not sure that reflects the daily sentiment. the asia opens where the NY closes, no? we don't have gaps or different sentiment involved, we don't have enough information to establish that. we have to analyse every close on every session and see where is that in the whole day context. just after a while from the asia start i think we can start to see how the previous days sentiment and close reflects in to the new day...
Quote
your nybot statement bothered me somewhat
that statement was made regarding the pit session open in the context i described in that post, knowing you don't use that as a start of US open. idea was both opened in range with the previous US session.
Quote
if I’m correct, by waiting for 2 sessions (asia & euro) to go by to judge the daily sentiment, is imo late, as half the 24h session is over, the info is skewed, and it discounts asia & euro PA
at the end of every day i analyse the day n the monthly profile/weekly/daily context and establish the most probable option for the next day. at the end of london/NY session i analyse the session and after i established the potential move for next session. and all over again. by next session i mean the session which follows...but when i compare the open location i do with previous same session as the open of ny is the close of london so i analyse the close of london which has nothing to do with the open of ny...

k, that's the way i do it for now. i will see how thing will change in the future constantly looking to improve
  • #4,655
  • Mar 16, 2012 1:14pm Mar 16, 2012 1:14pm
Quoting s7c
k, not sure that reflects the daily sentiment. the asia opens where the NY closes, no? we don't have gaps or different sentiment involved, we don't have enough information to establish that. we have to analyse every close on every session and see where is that in the whole day context. just after a while from the asia start i think we can start to see how the previous days sentiment and close reflects in to the new day...

that statement was made regarding the pit session open in the context i described in that post, knowing you don't use that...

Imo asia opens at the beginning of the 24h day cycle 00:00-23:59 a whole 24h cycle consists of one day. How many hours make a day? 24? No? What time does ny close? @21:00 gmt, But wait…. what market are we talking about? The stock market. The stock market closes………Pa stops and doesn’t resume until ny opens again. That imo is good if you’re trading stocks and your profile begins and ends with the ny open & close. However, I trade a 24h spot forex market, and the weekly open which starts 0:00gmt completes a 24h day cycle @ 23:59 gmt, and then comes 0:00 gmt and again we complete a 24h cycle, etc. Fact is the ny stock market closes, but spot forex keeps on going…..imo the spot market doesn’t “ be all, end all” with the stock market, just my opinion…..I believe we discussed this before……….
Well it sounds like you got it figured out in a way that makes sense for you, cause at the end of the day you have to go with what works for you……….
Markets are not efficient, rather they are effective - Jones
  • #4,656
  • Mar 16, 2012 1:26pm Mar 16, 2012 1:26pm
I set my open times differently too.

I use:

22:00 - Asia
7:00 - Europe
12:00 - US

(EST)

It's all a matter of preference really. Market Profiles aren't going to "tell" you when the right time to buy is. But they give you an idea of value and price commonality (usage or "popularity"). Realistically speaking, setting yous Asia open time to 00:00 (EST) or 22:00 isn't going to make a significant difference in your trading. If you're REALLY picky about what kind of market structure you want to see, you may wind up with less opportunities but it doesn't impact whether you make or lose money on any given trade. Heck, if you tweak the open times enough, you may wind up with a completely different visual aspect of market structure than you had before.

It's like the IB thing. Traditionally, the initial balance is the first hour of the day. Well, traditionally, this is for an 8-hour market per se. We trade a 24-hour market. I don't rely on IB's for too much insight but I set mine to 4 hours for daily profiles and 1 hour for session profiles.

Sessions tend to be 8-9 hours so an hour works well for an IB period setting. When you think about it; 1/8 of an 8 hour session would be 1 hour and 1/8 of a 24 hour session would be 3 hours. I use 4 just as a matter of preference.

Really I think it boils down to preference and the times you choose to trade. The market will either go up, down, or rotate within a small range regardless as to how you set your profiles up. The profiles will still record the same data, just at different times.
  • #4,657
  • Mar 16, 2012 1:32pm Mar 16, 2012 1:32pm
Quoting Bilstein
I set my open times differently too.

I use:

22:00 - Asia
7:00 - Europe
12:00 - US

(EST)

It's all a matter of preference really. Market Profiles aren't going to "tell" you when the right time to buy is. But they give you an idea of value and price commonality (usage or "popularity"). Realistically speaking, setting yous Asia open time to 00:00 (EST) or 22:00 isn't going to make a significant difference in your trading. If you're REALLY picky about what kind of market structure you want to see, you may wind up with less opportunities but...
Great comment
Markets are not efficient, rather they are effective - Jones
  • #4,658
  • Mar 16, 2012 6:00pm Mar 16, 2012 6:00pm
Hi I have set :
asia= 00
EU= 8
US= 13

Its well?
  • #4,659
  • Mar 16, 2012 10:50pm Mar 16, 2012 10:50pm
morning guys..

today, i start playing with dukascopy tick-volume data.

idea or comment highly appreciated
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  • #4,660
  • Mar 16, 2012 11:02pm Mar 16, 2012 11:02pm
Quoting mzvega
I find it very interesting, that even when you use different profiles settings, you can still perceive the market the same. The 24h open is one of best references I use for trading. The 24h open and the return into the the developing va of the wk profile where the basis for my entry......
agreed.. several times i try day start with london or us open time, but i always back to use tokyo open as day start time. it's a matter of personal preference like Bil said..
...
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